Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0261 |
| Annualized Std Dev | 0.1870 |
| Annualized Sharpe (Rf=0%) | -0.1397 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4274.0000 |
| NAs | 1.0000 |
| Minimum | -0.2573 |
| Quartile 1 | -0.0038 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1431 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -2.4765 |
| Kurtosis | 75.6245 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0089 |
| Downside Deviation (0%) | 0.0089 |
| Maximum Drawdown | 0.6903 |
| Historical VaR (95%) | -0.0134 |
| Historical ES (95%) | -0.0277 |
| Modified VaR (95%) | -0.0084 |
| Modified ES (95%) | -0.0084 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-04-08 | 2008-12-09 | NA | -0.6903 | 4267 | 1177 | NA |
| 2004-04-05 | 2004-04-06 | 2004-04-07 | -0.0079 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | 0.7 | 0.1 | -0.6 | -0.7 | -0.1 | 0 | -0.2 | -0.2 | -0.5 | 0.7 | -0.9 |
| 2005 | 0.2 | 0.5 | 0.5 | -0.3 | 0.1 | 0.7 | 0 | 0.4 | 1.2 | -0.1 | 0.1 | 0.7 | 4 |
| 2006 | 0.2 | 0.9 | -0.6 | 0.3 | 0 | -0.5 | 0 | 0.5 | -0.2 | 0.2 | 0.4 | 0.5 | 1.7 |
| 2007 | 0.3 | -1 | 0.2 | -0.1 | -0.1 | 1 | -1.6 | 1.8 | 1.1 | -0.1 | 0 | 0.8 | 2.3 |
| 2008 | -0.2 | -0.1 | 1.6 | 0 | -0.1 | 0.3 | 1.4 | -0.2 | 3 | 0 | -7.2 | 0 | -1.9 |
| 2009 | 1.4 | -0.5 | 1.2 | 3.3 | 1.1 | 0.4 | 1.9 | -1.3 | -0.8 | -2.4 | 0 | -0.3 | 3.9 |
| 2010 | 0.6 | 0.9 | 1 | 0.4 | 0.9 | -1.3 | 0.5 | 0.8 | 0.4 | -0.2 | 0.6 | 0.3 | 5 |
| 2011 | -1 | -0.1 | -0.5 | 0.2 | 0.2 | -0.1 | 2 | 1.6 | -3 | -0.2 | 1.2 | 0.1 | 0.4 |
| 2012 | -0.3 | 1 | 0.9 | 0.8 | -1.8 | -0.6 | 0.5 | 0.2 | 1 | 0.8 | -1 | 0.6 | 2.4 |
| 2013 | 0.7 | 1.2 | -0.6 | 0.2 | -1.7 | 0 | -0.6 | 0.1 | 0.1 | -1.6 | 0.3 | -0.4 | -2.2 |
| 2014 | -0.3 | 0.3 | -0.5 | -0.2 | 0.1 | -1.2 | -0.3 | -0.2 | -0.5 | 0.3 | -0.4 | 1.7 | -1.3 |
| 2015 | 0.1 | 0.2 | 0.4 | -0.1 | -0.2 | 0.2 | 0.4 | -0.2 | -0.6 | -0.3 | 0 | 1 | 0.8 |
| 2016 | -0.6 | 1.6 | -0.2 | 0.1 | 0.3 | 0.6 | -0.7 | 1.1 | 0.1 | -0.3 | 0 | 1.4 | 3.4 |
| 2017 | 1.2 | 0.1 | 0.4 | 0.1 | 0.4 | 0 | 0.2 | -0.3 | 0.3 | 0.3 | 0.1 | 0.2 | 3.1 |
| 2018 | -0.4 | 0.1 | 0.3 | 0.3 | 0.4 | -0.5 | -0.2 | 0.1 | 0.6 | 0 | 0.4 | -0.9 | 0.2 |
| 2019 | -0.2 | -0.3 | 1 | 0.5 | -1.8 | -0.1 | 0.3 | 0.4 | -0.1 | 0 | 0 | 1.4 | 1.1 |
| 2020 | -0.7 | -3.6 | -4.9 | -1.7 | 1.7 | 0 | 0.2 | 0.1 | 0 | 0.3 | 0.6 | 0.1 | -7.8 |
| 2021 | 1.1 | 0.9 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-03-26 15.0 SPY 111. 3.00e-4 -3.00e-4 -0.034 0.0129 0.274 -0.011 -0.120 <NA> NA NA NA
2 2004-03-29 15.0 SPY 113. 1.41e-2 2.68e-2 -0.0211 0.0263 0.298 0.0132 -0.113 <NA> NA NA NA
3 2004-03-30 15.1 SPY 113. 3.40e-3 3.21e-2 -0.0275 0.0163 0.333 -0.0132 -0.128 <NA> NA NA NA
4 2004-03-31 15.1 SPY 113. 1.20e-3 3.24e-2 -0.0206 0.0173 0.314 -0.0245 -0.120 <NA> NA NA NA
5 2004-04-01 15.2 SPY 114. 6.00e-3 2.50e-2 -0.0165 0.0225 0.291 -0.0383 -0.132 <NA> NA NA NA
6 2004-04-02 15.2 SPY 115. 7.60e-3 3.25e-2 -0.0116 0.0307 0.307 -0.0035 -0.121 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
